Results 181 to 187 of about 4,903 (187)

Numerical pricing based on fractional Black–Scholes equation with time-dependent parameters under the CEV model: Double barrier options

Computers and Mathematics With Applications, 2021
exaly  

Effect of Stochastic Resetting on the Fractional Black-Scholes Equation

Guillermo Chacón-Acosta, David Del Valle   +1 more
openaire   +1 more source

The Analytical Solution for the Black-Scholes Equation with Two Assets in the Liouville-Caputo Fractional Derivative Sense

Mathematics, 2018
Panumart Sawangtong, Kamonchat Trachoo, Wannika Sawangtong   +2 more
exaly  

The problem on the fractional Black-Scholes equation’s solution existence and uniqueness

AIP Conference Proceedings
Agus Sugandha, Endang Rusyaman, Sukono Sukono, Ema Carnia   +3 more
openaire   +1 more source

Lie symmetry, exact solutions and conservation laws of time fractional Black–Scholes equation derived by the fractional Brownian motion

Journal of Applied Analysis
Jicheng Yu
exaly  

A Finite Difference Method for a Normalized Time-Fractional Black–Scholes Equation

International Journal of Applied and Computational Mathematics
Yunjae Nam, Jian Wang, Chaeyoung Lee, Yongho Choi, Minjoon Bang, Zhengang Li, Junseok Kim   +6 more
openaire   +1 more source

Group classification of time fractional Black-Scholes equation with time-dependent coefficients

Fractional Calculus and Applied Analysis
Jicheng Yu, Yuqiang Feng
exaly